The usage would be different (the word "very" is used like an intensifier, to imply an even more fundamental aspect of something than the word "first" implies), for example: The very first thing in making a protein shake is to decide whether you really want to make such an unappetizing thing, something that you're going to have force down your throat. The first thing in making a protein shake is to decide what type of protein to use, because there are hundreds of different types available.
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